TÜRKİYE’DE FAİZ ORANI GEÇİŞKENLİĞİ SÜRECİ: DOĞRUSAL VE DOĞRUSAL OLMAYAN TAHMİN TEKNİKLERİNDEN BULGULAR

Abstract

Bu çalışma, 2011:01-2021:03 dönemine ait aylık verileri kullanarak Türkiye’de faiz oranı geçişkenliği mekanizmasını incelemektedir. Çalışma doğrusal olmama durumunu dikkate almakta ve hem doğrusal hem de doğrusal olmayan zaman serisi yöntemleri kullanmaktadır. Doğrusal eşbütünleşme testi uzun dönem faiz oranı geçişkenliği katsayısının birden küçük olduğuna işaret ederken, doğrusal olmayan eşbütünleşme testi bu katsayının birden büyük olduğuna işaret etmektedir. Teoriye ve uygulamaya yönelik çıkarımlar çalışmada tartışılmaktadır.

Keywords

• faiz oranı geçişkenliği
• ticari kredi faiz oranları
• doğrusallık
• doğrusal olmayan yumuşak geçişli modeller

THE INTEREST RATE PASS-THROUGH PROCESS IN TURKEY: EMPIRICAL EVIDENCE FROM LINEAR AND NONLINEAR ESTIMATION TECHNIQUES

Abstract

Using monthly data that span the period 2011:01-2021:03, this paper examines the interest rate pass-through mechanism in Turkey. The paper considers nonlinearity and employs both linear and nonlinear time series methods. The linear cointegration test yields the long-run interest rate pass-through coefficient is lower than unity, whereas the nonlinear cointegration test shows this coefficient is greater than unity. Theoretical and practical implications are discussed.

Keywords

• interest rate pass-through
• interest rates on commercial loans
• linearity
• nonlinear smooth transition models

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